From minimal embeddings to minimal diffusions

DOI10.1214/ECP.V19-2889MaRDI QIDQ457779zbMATH OpenOpenAlexFDO

Authors Alexander Matthew Gordon Cox, Martin Klimmek

Publication date 29 September 2014

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1306.2873

zbMATH Keywords

local timediffusionsminimalitySkorokhod embedding problemlocal martingales

Mathematics Subject Classification ID

Diffusion processes (60J60) Martingales with continuous parameter (60G44) Local time and additive functionals (60J55)

Abstract: There is a natural connection between the class of diffusions, and a certain class of solutions to the Skorokhod Embedding Problem (SEP). We show that the important concept of minimality in the SEP leads to the new and useful concept of a minimal diffusion. Minimality is closely related to the martingale property. A diffusion is minimal if it minimises the expected local time at every point among all diffusions with a given distribution at an exponential time. Our approach makes explicit the connection between the boundary behaviour, the martingale property and the local time characteristics of time-homogeneous diffusions.

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(1)

• Minimal Root's embeddings for general starting and target distributions

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